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MONETARY EXCHANGE RATE MODEL REVISITED: COINTEGRATION AND FORECASTING IN HETEROGENEOUS PANEL DATA

BUTT, MUHAMMAD S.; IQBAL, AZHAR; AHMAD, NUZHAT - Econometric Society - 2004

ABSTRACT This study re-examines the exchange rate-monetary fundamentals link with in a panel data framework. Pure time series and pooled time series-based tests fail to find empirical support for monetary exchange rate models (Sarantis (1994) and Groen (2000)). Using recently developed Panel...

Persistent link: https://www.econbiz.de/10005086422

How Can We Define the Long Memory Concept? An Econometric Survey

Guegan, Dominique - Econometric Society - 2004

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

Persistent link: https://www.econbiz.de/10005063626

A Specification Test for Time Series Models by a Normality

Duan, Jin-Chuan - Econometric Society - 2004

be eliminated. The size and power of this new test are examined. We find the size of this test to be accurate for several … time series models including the AR, GARCH and diffusion models. The power of this test is high in comparison to the …

Persistent link: https://www.econbiz.de/10005328968

Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity

Prodan, Ruxandra - Econometric Society - 2004

power on data that includes breaks of opposite sign. We extend this test in two directions. First, we propose a new … mean or trend reversion. The simulation results show good power and satisfactory size of the new procedures. Using long … purchasing power parity from the application of unit root and structural change tests. We argue that the Bai and Perron test is …

Persistent link: https://www.econbiz.de/10005702663

Further results on weak-exogeneity in vector error correction models

Rault, Christophe - Econometric Society - 2004

operational empirically. Finally, the power and size distortions of this sequential test procedure are analysed with Monte …

Persistent link: https://www.econbiz.de/10005702765